5 papers · 1 filter
Diagnostic Checking in Multivariate ARMA Models With Dependent Errors Using Normalized Residual Autocorrelations
Yacouba Boubacar Maïnassara, Bruno Saussereau
In this paper we derive the asymptotic distribution of normalized residual empirical autocovariances and autocorrelations under weak assumptions on the noise. We propose new portma…
Portmanteau test for a class of multivariate asymmetric power GARCH model
Yacouba Boubacar Maïnassara, Othman Kadmiri, Bruno Saussereau
We establish the asymptotic behaviour of the sum of squared residuals autocovariances and autocorrelations for the class of multi-variate power transformed asymmetric models. We th…
Estimation of subcritical Galton Watson processes with correlated immigration
Yacouba Boubacar Mainassara, Landy Rabehasaina
We consider an observed subcritical Galton Watson process with correlated stationary immigration process . Two situations a…
Distribution of residual autocorrelations for multiplicative seasonal ARMA models with uncorrelated but non-independent error terms
Yacouba Boubacar Maïnassara, Abdoulkarim Ilmi Amir
In this paper we consider portmanteau tests for testing the adequacy of multiplicative seasonal autoregressive moving-average (SARMA) models under the assumption that the errors ar…
Portmanteau test for the asymmetric power GARCH model when the power is unknown
Yacouba Boubacar Maïnassara, Othman Kadmiri, Bruno Saussereau
It is now widely accepted that, to model the dynamics of daily financial returns, volatility models have to incorporate the so-called leverage effect. We derive the asymptotic beha…